MarketModel Class Reference
#include <ql/models/marketmodels/marketmodel.hpp>
Inheritance diagram for MarketModel:
Detailed Description
base class for market modelsFor each time step, generates the pseudo-square root of the covariance matrix for that time step.
Public Member Functions | |
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virtual const std::vector< Rate > & | initialRates () const=0 |
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virtual const std::vector< Spread > & | displacements () const=0 |
| virtual const EvolutionDescription & | evolution () const=0 |
| virtual Size | numberOfRates () const=0 |
| virtual Size | numberOfFactors () const=0 |
| virtual Size | numberOfSteps () const=0 |
| virtual const Matrix & | pseudoRoot (Size i) const=0 |
| virtual const Matrix & | covariance (Size i) const |
| virtual const Matrix & | totalCovariance (Size endIndex) const |